Assessing the potential profitability of automated power market trading using event signals sourced from grid frequency data

Thomas Bowcutt, Patrick Denvir, Giuseppe Destino, Navesh Kumar and Chris Regan

Journal of Energy Markets

Abstract: Within a power system, the instantaneous loss of generation or import/export via an interconnector causes a disturbance in the grid frequency. In a low inertia system, it becomes increasingly feasible to identify, size, classify and locate such grid events using a suitably sensitive and accurate network of measurement devices. Loss of generation or interconnector capacity often leads to a significant change in the price stack, leading to movement in market prices as traders adjust their positions. We demonstrate that a systematic trading strategy using an event-detection signal based on public frequency data and highly accurate measurement devices can be profitable. We also assess the sensitivity of profits to the overall event-detection and trade-execution lead times.

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